Empirical Investigation of Risk Tacking Channel of Monetary Policy in Iran

Abstract

This study deals with investigation of existence of monetary policy risk channel in the economy of Iran. For the same purpose, the seasonal data of macroeconomic variables are used in such a manner that changes in interest rate as an indicator of monetary policy and bank leverage ratio as an indicator of risk are considered. Using VAR approach and Impulse response functions, the experimental test of channel of monetary policy risk in the economy of Iran was examined. The results showed that an expansionary monetary policy which occurs by decrease in interest rates causes that risk of bank system to be increased. In addition, it should be stated that inflation had positive impacts and economic growth had negative impacts on the risk of bank system.